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Stochastic financial models /

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Portfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe Bla...

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Bibliographic Details
Main Author: Kennedy, Douglas (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Language Notes:English.
Published: Boca Raton : CRC Press, 2010.
Series:Chapman & Hall/CRC financial mathematics series.
Subjects:
Investments > Mathematical models.
Stochastic analysis.
Investissements > Modèles mathématiques.
Analyse stochastique.
Investments > Mathematical models
Stochastic analysis
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 1. Portfolio choice
  • 2. The binomial model
  • 3. A general discrete-time model
  • 4. Brownian motion
  • 5. The Black-Scholes model
  • 6. Interest-rate models.